Estimation of risk-neutral densities using positive convolution approximation
- 25 March 2003
- journal article
- Published by Elsevier in Journal of Econometrics
- Vol. 116 (1-2) , 85-112
- https://doi.org/10.1016/s0304-4076(03)00104-0
Abstract
No abstract availableKeywords
This publication has 38 references indexed in Scilit:
- Empirical pricing kernelsJournal of Financial Economics, 2002
- Testing the stability of implied probability density functionsJournal of Banking & Finance, 2002
- Statistical Arbitrage and Securities PricesSSRN Electronic Journal, 2002
- Market Expectations in the UK Before and After the ERM CrisisEconomica, 2000
- Pricing and hedging derivative securities with neural networks and a homogeneity hintJournal of Econometrics, 2000
- Nonparametric risk management and implied risk aversionJournal of Econometrics, 2000
- Recovering Risk-Neutral Densities: A New Nonparametric ApproachSSRN Electronic Journal, 2000
- Implied Risk-neutral Probability Density Functions From Option Prices: Theory and ApplicationSSRN Electronic Journal, 1998
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency OptionsThe Review of Financial Studies, 1993
- Prices for State-Contingent Claims: Some Estimates and ApplicationsThe Journal of Business, 1978